Liquidate after window initialized

The issue seems to be with the way you're handling the RollingWindow object. You're setting the size of the RollingWindow inside the OnData method, which is not the correct way to use it. The size of the RollingWindow should be set when it's initialized and then you just add data to it.

Also, you're adding data to the RollingWindow only when it's not ready. This means that after it becomes ready, you stop adding new data to it. This could be why your liquidation condition is never met, as the RollingWindow is not being updated with the latest data.

Here's how you should modify your code:

def Initialize(self):
    self.SetStartDate(2020, 1, 1)
    self.SetEndDate(2023, 9, 15)
    self.SetCash(3000)
    self.SettingsFreePortfolioValuePercentage = 10
    self.SetExecution(ImmediateExecutionModel())
    self.symbol = self.AddEquity("SPY", Resolution.Daily, dataNormalizationMode=DataNormalizationMode.Raw).Symbol
    self.SetWarmUp(timedelta(7))
    self.close_window = RollingWindow[float](7)

def OnData(self, data):
    if self.IsWarmingUp: return

    self.close_window.Add(data[self.symbol].Close)

    if not self.close_window.IsReady: return

    current_close = self.close_window[0]
    oldest_close = self.close_window[self.close_window.Count-1]

    quantity = self.CalculateOrderQuantity(self.symbol, 0.4)

    if current_close > oldest_close: 
        if not self.Portfolio.Invested: self.MarketOrder(self.symbol, quantity)
    elif current_close < oldest_close: 
        if self.Portfolio.Invested: self.Liquidate(self.symbol)

In this modified code, the RollingWindow is updated with new data at every time step, and the trading decisions are made only when the RollingWindow is ready. This should ensure that your liquidation condition is checked correctly.